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OLS_Momentum

futures momentum trading with OLS deciding on trends

instructions:

  1. data download utilize the Tia bloomberg module

  2. using OLS to decide the trend line

  3. risk parity to decide allocation of capital

Sharpe Ratio = 2.76 win rate= 37 percent averge win size percent 12.07 averge lose size percent -4.36 CAGR= 26.06 percent

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futures momentum trading with OLS deciding on trends

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